Mehrotra predictor–corrector method: Difference between revisions

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'''Mehrotra's predictor–corrector method''' in [[Optimization (mathematics)|optimization]] is an implementation of [[interior point method]]s. It was proposed in 1989 by [[Sanjay Mehrotra]].<ref>{{cite journal|last=Mehrotra|first=S.|title=On the implementation of a primal–dual interior point method|journal=SIAM Journal on Optimization|volume=2|year=1992|issue=4|pages=575–601|doi=10.1137/0802028}}</ref>

The method is based on the fact that at each [[iteration]] of an interior point algorithm it is necessary to compute the [[Cholesky decomposition]] (factorization) of a large matrix to find the search direction. The factorization step is the most computationally expensive step in the algorithm. Therefore it makes sense to use the same decomposition more than once before recomputing it.